Three Essays In Dynamic Portfolio Choice
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Three Essays In Dynamic Portfolio Choice
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Author : Sinan Tan
language : en
Publisher:
Release Date : 2006
Three Essays In Dynamic Portfolio Choice written by Sinan Tan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Three Essays In Dynamic Portfolio Choice
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Author : Sinan Tan
language : en
Publisher:
Release Date : 2006
Three Essays In Dynamic Portfolio Choice written by Sinan Tan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The dissertation consists of three essays. All essays are joint work with my thesis advisor Anthony Lynch.
Three Essays On The Effect Of Learning And Predictability On Optimal Dynamic Portfolio Strategies And Asset Prices
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Author : Yihong Xia
language : en
Publisher:
Release Date : 2000
Three Essays On The Effect Of Learning And Predictability On Optimal Dynamic Portfolio Strategies And Asset Prices written by Yihong Xia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Asset allocation categories.
Essays On The Dynamic Portfolio Choice
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Author : Anna Barbara Gutkowska
language : en
Publisher:
Release Date : 2006
Essays On The Dynamic Portfolio Choice written by Anna Barbara Gutkowska and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Three Essays On Portfolio Choice
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Author : Joshua Stuart White
language : en
Publisher:
Release Date : 2003
Three Essays On Portfolio Choice written by Joshua Stuart White and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Portfolio management categories.
Three Essays In Portfolio Selection
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Author : Marco Taboga
language : en
Publisher:
Release Date : 2005
Three Essays In Portfolio Selection written by Marco Taboga and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Essays On Portfolio Choice And Risk Management
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Author : Yi-Chin Hsin
language : en
Publisher:
Release Date : 2016
Essays On Portfolio Choice And Risk Management written by Yi-Chin Hsin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Globalization increases the access to financial markets and provides expanding opportunities for investors to diversify internationally. As suggested by the Modern Portfolio Theory (Markowiz, 1952), rational investors should use one of the following two strategies to achieve portfolio diversification: (1) Investing in asset classes thought to have low correlations or (2) increasing the sizes of their portfolios in multiple markets. In the early 1970s, diversification was referred to as the “free lunch” in investment. However, French and Poterba (1991) show that investors still tend to hold a disproportionate part of domestic equities in their portfolios. This phenomenon is called “the equity home bias,” which is still puzzling in the international finance literature. These essays investigate what drives individuals to hold inefficient portfolios and forgo the benefits of international diversification. The first chapter of this study explains the equity home bias among international portfolios by analyzing the relationship between the sizes of portfolio required and the investor’s perception about risk. A flexible three-parameter distribution developed by Hueng and Yau (2006) to model the measures of risk for stock returns is extended here. Conclusions reveal that there is a trade-off between the desirable reduction of variance and the undesirable increase of negative skewness of diversifying international portfolios. This trade-off relationship may give an explanation to the equity home bias phenomenon in reality. The second chapter further examines the same question from the correlation perspective. Through numerical analysis, this chapter presents the evolution of U.S. equity home bias in the context of dynamic correlations between developed and emerging markets. The results imply that the persistent high correlations between the developed European and North American markets induced a high U.S. home bias; while on the other hand, the developed Pacific Asian and emerging markets have been relatively less correlated with that of the North American market and has led to a lower U.S. home bias. As future correlations are steadily increasing, investors may seek newly open markets for diversification benefits in the present. Yet over the long run, the benefits of international diversification can be very few. The home bias in the future will be rationalized by the equilibrium correlations between international markets. The third chapter uses micro data to analyze the portfolio choices in risky assets over the working-age of the single individual and the retired segments that are exposed to health and medical expense risk. Single retirees respond to changes in medical expenses by altering their portfolio toward risky assets, while no evidence is found in the changes of single working people’s portfolios. This result is in contrast to theoretical prediction, which assumes that the elders tend to hold riskless assets.
Three Essays In Intertemporal Choice
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Author : John Keith Horowitz
language : en
Publisher:
Release Date : 1988
Three Essays In Intertemporal Choice written by John Keith Horowitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Consumer behavior categories.
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance
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Author : Ehud Peleg
language : en
Publisher: ProQuest
Release Date : 2008
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance written by Ehud Peleg and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.
Essays On Pricing And Portfolio Choice In Incomplete Markets
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Author : Ti Zhou
language : en
Publisher:
Release Date : 2008
Essays On Pricing And Portfolio Choice In Incomplete Markets written by Ti Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Portfolio management categories.
This dissertation is a contribution to the pricing and portfolio choice theory in incomplete markets. It consists of three self-contained but interlinked essays. In the first essay, we present a utility-based methodology for the valuation and the risk management of mortgage-backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded pre-payment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools. In the second essay, using forward optimality criteria, we analyze a portfolio choice problem when the local risk tolerance is time-dependent and asymptotically linear in wealth. This class corresponds to a dynamic extension of the traditional (static) risk tolerances associated with the power, logarithmic and exponential utilities. We provide explicit solutions for the optimal investment strategies and wealth processes in an incomplete non-Markovian market with asset prices modelled as Ito processes. The methodology allows for measuring the investment performance in terms of a benchmark and alter-native market views. In the last essay, we extend the forward investment performance approach to study the optimal portfolio choice problem in an incomplete market driven by jump processes. The asset price is modelled by a one-dimensional Lévy-Itô process. We prove the existence of a forward performance process by restricting the local risk tolerance functions to be time-independent and linear in wealth. This yields only three types of performance measurement criteria, namely, exponential, power and logarithmic. The optimal portfolios are constructed via stochastic feedback controls under these criteria.